I can't cut and paste so here is the Comment I left for the author of this article in the ROB on 5/30/13.
Basically, HY bonds have 0% correlation to government bonds/interest rates. That is to say that HY bonds are 100% credit risk and 0% interest rate risk. Government bonds are 100% interest rate risk and 0% (or almost) credit risk. A simple regression analysis of returns using short, medium or longer term interest rates vs HY bonds shows 0% correlation of returns over multiple time periods.
And anecdotally, if interest rates are going up it is most probably because the economy is improving and central banks start talking/raising rates. If the economy improves, it most likely means that companies, including HY issuers, are producing more cash flow. Cash flow is what pays our coupon every 6 mos. And excess cash flow means bond holders are "covered" more times with regards to the issuers ability to pay our coupons.
Don't forget, HY bonds are a hybrid asset class unto themselves. They don't act like typical bonds that are very interest-rate sensitive. HY bonds are credit risk...not interest rate risk.